The Design Of A Paired Trading Strategy Among The Constituent Stocks Of The CSI 300 Index

From the end of 2017 to the middle of 2018,stock prices continued to fall,investors began to find ways to make profits in the bear market,and the paired trading strategy gradually returned to the public view.In recent years,the popularity of big data and the application of machine learning combine traditional technical analysis with mathematical models,providing investors with a new investment idea.Paired trading,developed from the idea of statistical arbitrage,is an investment strategy widely used by foreign financial institutions.The long and short positions of the two stocks were constructed,and the profit space of the spread convergence was obtained by taking advantage of the characteristics of the combination.This paper takes spread as the research object,USES technical indicators to build the "reversal signal capture model",grasps the trading opportunity through trading signals,enhances the profitability of paired trading strategy,and tests and optimizes the model strategy.First,find stocks with co-integration in the underlying pool of the Shanghai and shenzhen indices.Secondly,the technical indicators of the spread between stocks are designed as the basis to catch the "spread reversal signal".Thirdly,the "reversal signal capture model" is trained through machine learning to capture the reversal signal of price difference and decide the opening time.Finally,the paired trading strategy based on the "reverse signal capture model" is completed.Through the test,the "reverse signal capture model" captures the accuracy of about 70%,can grasp the spread trend,improve profitability.Through out-of-sample backtesting and comparison,the model strategy shows stable performance and the implementation approach is compliant and reasonable,which can be directly applied to the stock market to help investors earn profits.This paper also puts forward thinking and prospect,expecting that after the "securities market short selling mechanism" is released,the paired trading strategy will be more widely used.